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HFT quote stuffing
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HFT quote stuffing

  #1 (permalink)
Site Administrator
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HFT quote stuffing

ZeroHedge has a good article today on quote stuffing:

zerohedge

Read the article, but here is a sample:

07-23-10
BATS "Stubby Triangles". Drop the quote from a valid price to 0.001 and then back up to a lower price level. When the new price level hits 0.001 as well, do it all over again at approx. 380 times a second.

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07-23-10
NASDAQ "Flutter". 4000 quotes in 2 seconds, alternating the bid price/size in 3 increments and effecting the Best Bid along the way.

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Mike

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
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Page not found error?

Maybe you it requires an account with them?

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  #4 (permalink)
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DavidHP View Post
Page not found error?

Maybe you it requires an account with them?

Try it again, refresh this page, I updated the link.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #5 (permalink)
Market Wizard
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Got it...


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  #6 (permalink)
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can xtrader do that on cl? let me know, thanks.

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  #7 (permalink)
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vegasfoster View Post
can xtrader do that on cl? let me know, thanks.

Did you see a pattern you can exploit?

How can your system spot that pattern in real-time?

How can your system execute to exploit that pattern in real-time?

I haven't looked at the original data and Mike's post is third hand, but this is stuff for signal analysis and pattern recognition. Look at the x-axis of those charts. It's milli or micro seconds.

Interesting, though. And no, X_Trader won't do that for you. RTD Tango could if you were really good with C++.

Move along, move along.

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  #8 (permalink)
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vegasfoster View Post
can xtrader do that on cl? let me know, thanks.

Quote stuffing does not occur in futures due to messaging limits.

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  #9 (permalink)
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traderwerks View Post
Quote stuffing does not occur in futures due to messaging limits.

Is the ratio still 4 to 1 on ES? And do you think they actually call the fines due, or is it just fluff?

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #10 (permalink)
 Vendor: www.traderwerks.com 
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Big Mike View Post
Is the ratio still 4 to 1 on ES? And do you think they actually call the fines due, or is it just fluff?

Mike

4 to 1 on the ES and yes, they do fine. But your broker may have clients with low ratios so it balances out. I had a friend who was fined last year. I have never personally been fined, but I do watch my ratios.

Products have different ratios. ES is the lowest at 4:1 The CL is 25:1, grains around 50:1 , interest rates 10:1.

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